Journal article
Simulation estimation of time-series models
Journal of econometrics, Vol.47(2-3), pp.197-205
02/01/1991
DOI: 10.1016/0304-4076(91)90098-X
Abstract
A formal econometric treatment of the estimation of the parameters of a fully specified stochastic equilibrium model is proposed. The method, estimation by simulation, yields an estimator which is shown to have an asymptotic normal distribution. A goodness-of-fit test based on a chi-square statistic is also derived.
Details
- Title: Subtitle
- Simulation estimation of time-series models
- Creators
- Bong-Soo Lee - University of MinnesotaBeth Fisher Ingram - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.47(2-3), pp.197-205
- DOI
- 10.1016/0304-4076(91)90098-X
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Publisher
- Elsevier B.V
- Number of pages
- 9
- Language
- English
- Date published
- 02/01/1991
- Academic Unit
- Economics
- Record Identifier
- 9984962888802771
Metrics
1 Record Views